Online Program Home
My Program

Abstract Details

Activity Number: 504
Type: Contributed
Date/Time: Wednesday, August 3, 2016 : 8:30 AM to 10:20 AM
Sponsor: Business and Economic Statistics Section
Abstract #320844
Title: Exchange Traded Funds with Variable Leverage
Author(s): Valmira Hoxhaj* and Ravindra Khattree
Companies: Oakland University and Oakland University
Keywords: Leverage Exhange Traded Funds ; Simulations

In this article we introduce the concept of an leveraged exchange traded fund where leverage is a random variable, rather than a constant. This allows one to have more control on hedging demand ratio and it reduces the volatility of the fund. Simulations are used to study the performance of such funds and to compare them with the corresponding constant leveraged funds.

Authors who are presenting talks have a * after their name.

Back to the full JSM 2016 program

Copyright © American Statistical Association